Maybe he's picked up your your feelings of insecurity about death? Lots of kids are pretty psychic. The bit about you walking in- well we can all leave our bodies & astral travel in our sleep, but we normally have no recollection. Maybe your subconscious heard him crying before you woke & you really did pop in to see him!
I think that Lauren's right on the money, and also remember that young children are so impressionable. Little things that mean nothing to us can grow huge in their minds, and they frequently don't have the ability to reason with their own fears.
Perhaps he has heard someone talk about children losing their parents in Katrina or Iraq, or maybe a playmate has had a loss? You may want to check in with him about how he's feeling about current events - they're still all over the news every day and who knows what he's hearing from adults.
Many young children fear losing their parents at one time or another. Just as you love and worry about him, he loves and worries about you.
